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Bank of Italy
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Contagion, financial crisis, correlation analysis
risk aversion, asset pricing, financial crisis
CAPM, risk aversion
Contagion; Financial crisis; Factor model; Correlation analysis
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP3310.
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Contagion, financial crisis, factor model, correlation analysis
exchange rate, term structure, UIP
bond risk premium, exchamge rate, affine model
contagion. EMU debt crisis, panel cointegration
term structure models, yield curve, risk premium
real and nominal term structure, inflation risk premium, affine term structure, Kalman filter
index-linked bond, real term structure, inflation compensation, inflation risk premium, smoothing spline
sovereign bond spread, contagion, non-stationary panels
inflation risk premium, affine term structure, Kalman filter, macroeconomic and monetary surprises
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: joes.
monetary policy surprises, unconventional monetary policy
zero lower bound, shadow rate term structure model
sovereign spreads, liquidity premia, convenience yields
surprises, forecaster heterogeneity, foreign exchange, long-term interest rates, unconventional monetary policy
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